Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1371
Annualized Std Dev 0.1771
Annualized Sharpe (Rf=0%) 0.7741

Row

Daily Return Statistics

Close
Observations 2940.0000
NAs 1.0000
Minimum -0.1159
Quartile 1 -0.0037
Median 0.0009
Arithmetic Mean 0.0006
Geometric Mean 0.0005
Quartile 3 0.0056
Maximum 0.0950
SE Mean 0.0002
LCL Mean (0.95) 0.0002
UCL Mean (0.95) 0.0010
Variance 0.0001
Stdev 0.0112
Skewness -0.6293
Kurtosis 14.4961

Downside Risk

Close
Semi Deviation 0.0083
Gain Deviation 0.0077
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.3612
Historical VaR (95%) -0.0167
Historical ES (95%) -0.0274
Modified VaR (95%) -0.0164
Modified ES (95%) -0.0315
From Trough To Depth Length To Trough Recovery
2020-02-20 2020-03-23 2020-09-02 -0.3612 137 23 114
2018-09-24 2018-12-24 2019-11-01 -0.2141 280 64 216
2011-05-02 2011-10-03 2012-03-13 -0.2039 219 108 111
2010-04-16 2010-07-02 2010-11-04 -0.1574 142 55 87
2015-05-22 2016-02-11 2016-07-08 -0.1479 284 182 102

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA 0 -1.7 -2.5 -2.7 1.1 -0.9 -6.7
2010 0.9 1.1 0.5 -1.5 -2.4 -0.1 -0.2 3 0.3 0.1 2.2 -0.2 3.6
2011 1.9 -1.2 0.4 0.2 -1.8 1.5 -0.6 -1.4 -2.3 -3.3 -0.1 -0.2 -6.9
2012 1 0.5 0.3 0.6 -2.4 3.6 0.1 0.5 0.5 0.6 0.2 1.7 7.5
2013 1 0.3 -0.3 -0.9 -1.3 0.2 1.4 -0.5 0.7 0.1 -0.1 0.2 0.9
2014 -0.7 0.2 0.7 -0.1 0.2 0.7 -0.3 0.3 -1.4 1.1 -0.7 -1.1 -1.1
2015 -1.3 -0.3 -0.6 1.3 0 0.7 0.2 -2.9 0.1 -0.2 1 -0.8 -2.8
2016 0.2 2.6 0.6 -0.7 0.1 0.1 -0.4 -0.2 0.6 -0.8 -0.5 -0.4 1.1
2017 0.1 1.3 -0.1 0.3 0.8 0.4 0.1 0.4 0.2 0.1 -0.1 -0.6 3.1
2018 0 -0.9 1.5 0.2 0.9 0 -0.2 0 0.2 0.9 0.6 0.9 4.1
2019 -0.1 0.4 1.5 -1 -1.1 0.8 -1.3 0.1 -1.3 1.2 -0.3 0.4 -0.8
2020 -1.6 -1.5 -4.6 -2.8 0.2 0.2 0.8 0.9 0.2 -1.4 1 0.5 -8.3
2021 1.9 2.1 0.4 NA NA NA NA NA NA NA NA NA 4.5

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart